CFTC’s Roundtable on the Made Available to Trade Process – July 15, 2015
Amir presented ‘Data-based assessment of MAT’ at the CFTC’s division of market oversight roundtable on MAT meeting last week. The meeting has been recorded and is available on youtube (section starts at 0.53.04), (watch out for Tod in the audience at the top-left of the shot). The presentation slides are available for download here, […]
How to Fix the Broken MAT Process
aka “What I learned at the CFTC Roundtable” This past week, Amir sat on a panel at the CFTC to discuss everything MAT. I sat in the audience and heckled. And took notes. I will share those with you below. BACKGROUND If you are an avid reader of our blogs, you’d know we’ve been tracking […]
CME and LCH June 2015 Volumes
Following on from my blog LCH makes gains vs CME in USD IRS, I wanted to provide an update for June. Weekly Volumes Using CCPView lets look at weekly volumes of gross notional for just USD IRS for the past 8 weeks and compare CME IRS Volumes with LCH SwapClear Volumes (All and not just Client). Showing that: Jun […]
Liquidity
Clarus tools help our users monitor liquidity risk across Swaps markets. In this blog, we quantify how much risk has traded this year across a broad range of swap subtypes, and across venues. We show how our clients can use SDRView to stay on top of the risks they are running. Liquidity Concerns According to […]
A New Flavor of Invoice Spreads?
If you’ve been following the package trade exemption, you’d know that Invoice spreads are one of the last package trades yet to be traded on-SEF. The swaps are due to be SEF-required (MAT’d) in November of this year. I wrote a blog last year about the issue here. While I am no further educated on just […]
CME and LCH: What Happened on May 19 and Jun 2?
Continuing with the theme of CME-LCH Basis which has been a phenomenally popular blog, I wanted to look at whether there has been an impact on volumes of Cleared USD Interest Rate Swaps at CME and LCH. Weekly Volumes Using CCPView we can extract weekly volumes of gross notional for just USD IRS for the […]
Volatility and Volumes in Europe
Since European Rates made all-time lows on 17th April, we have seen an unprecedented sell-off in European fixed income. SDRFix shows the moves from 17th April to the close on 5th June 2015: Showing: A huge steepening on the yield curve, with 30y rates 90bp higher (!), versus 2y higher by only 7.2bp. 5y are […]
The Issue with Anonymous Order Books in Swaps
The conversation seems to be heating up again about the topic of anonymous order books for the OTC swap market. The topic has been out there for well over a year, however really had not been in the press or acknowledged by the CFTC until SEFCON V in November 2014. It remains un-addressed. The CFTC […]
CME-LCH Basis Spread
Recently I noticed that the view statistics for my June 2014 blog on LCH-CME Switch Trades were running at 5 times their weekly average, which I thought was odd. Then on 15-May, I read the Risk article, Bank swap books suffer as CME-LCH basis explodes (subs required) and I understood why. So a good time to re-visit this […]
CFTC Swap Success (In Pictures)
They say a picture is worth a thousand words. But if you are like me, it’s hard to quantify, because getting through 1,000 words can be quite tough. By the 100th word you’re skipping ahead to find the bulletpoints, bolded sections, and charts. It occurred to me recently that we at Clarus have reams of data, […]